Course Descriptions
Introduction
to Stochastic Calculus ( 2 units )
This course introduces the concepts and tools of stochastic
calculus as required for effective pricing of complex financial
derivatives in continuous time. The course stresses the
practical applications of stochastic differential equations,
Ito integrals, and measure transformations as required in
advanced financial engineering practice and for the understanding
of asset pricing theory. The material discussed in this
course is used extensively in the some of the more advanced
classes.
